We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

The presence of time series momentum effect has been widely documented in the financial markets across asset classes and countries. We find a predictable pattern of the realized semi-variance to the future individual asset return, especially during the stressed states of time series momentum...

A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...

This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using 5 minutes intraday return series ranging from 05-jan-2015 to 06-Aug-2015. The study employed ARFIMA-FIGARCH model and ARFIMA-APARCH model and compared...

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...